Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0814
Annualized Std Dev 0.2379
Annualized Sharpe (Rf=0%) -0.3422

Row

Daily Return Statistics

Close
Observations 3690.0000
NAs 1.0000
Minimum -0.1208
Quartile 1 -0.0078
Median 0.0003
Arithmetic Mean -0.0002
Geometric Mean -0.0003
Quartile 3 0.0077
Maximum 0.0762
SE Mean 0.0002
LCL Mean (0.95) -0.0007
UCL Mean (0.95) 0.0003
Variance 0.0002
Stdev 0.0150
Skewness -0.4552
Kurtosis 4.5824

Downside Risk

Close
Semi Deviation 0.0110
Gain Deviation 0.0096
Loss Deviation 0.0113
Downside Deviation (MAR=210%) 0.0160
Downside Deviation (Rf=0%) 0.0111
Downside Deviation (0%) 0.0111
Maximum Drawdown 0.8962
Historical VaR (95%) -0.0237
Historical ES (95%) -0.0363
Modified VaR (95%) -0.0254
Modified ES (95%) -0.0455
From Trough To Depth Length To Trough Recovery
2008-07-03 2020-04-28 NA -0.8962 3201 2975 NA
2006-08-03 2007-01-18 2007-11-02 -0.3043 316 115 201
2008-03-14 2008-03-19 2008-04-15 -0.0948 22 4 18
2008-01-04 2008-01-23 2008-02-14 -0.0878 29 13 16
2007-11-21 2007-12-04 2007-12-26 -0.0774 24 9 15

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2006 NA NA NA NA NA NA 0 -1.3 0.5 0 0.1 0.7 0
2007 -1.2 0.2 -1 -0.5 0.9 1.4 -0.8 0.9 -1.3 2.7 -1.9 -0.1 -0.6
2008 -1.9 -1.3 -1.7 -1.7 0.9 0.1 0.1 -0.2 -2.9 1.1 -4.6 6.8 -5.6
2009 -2.9 -0.5 -1.3 4.2 3 -1.3 3.1 -2.1 1.6 -3.4 1.2 0.4 1.7
2010 1.8 -1.2 2.3 0.7 -2.1 -1.4 1.1 1.8 1.4 0.8 3.1 1.9 10.5
2011 0 2.4 1.1 1 -1.7 -0.2 0.5 -1.2 -3.5 -1.2 -0.4 -0.5 -3.8
2012 -0.1 1.6 0.1 0.3 -3 4.9 0.7 1.3 0.2 0 0.3 0.7 7.1
2013 0.2 -0.3 -0.1 -2.1 -1.2 0.6 1.1 -0.3 -1.5 -1.7 0.4 -0.3 -5.2
2014 -0.8 0.4 -1.5 -0.2 -0.9 -0.2 -1.1 0.9 -0.3 -0.1 1.5 0 -2.2
2015 3.6 1 2.3 0 0.1 -1.6 -1.7 -4.7 -0.6 1 0.5 0.9 0.5
2016 -3 0.3 -2 0.8 1 1.2 -2.1 -1.3 0.4 0.2 2.1 -0.1 -2.7
2017 1.2 0.2 0.6 0.2 -0.5 2.3 -1.4 0.1 -0.6 0 1.2 0.1 3.5
2018 1.2 0.2 0.5 -0.6 -1 1.4 -1.3 0 2.2 -1 -0.4 0.4 1.5
2019 1.4 -1.1 1.4 0.1 -3.5 0.4 -3.7 -1.3 -0.5 2.5 -2.4 -0.7 -7.4
2020 -1.3 -1.4 -1.8 0 0.4 0.8 0.8 0.3 -1.9 -0.3 -0.7 0.9 -4.1
2021 1.7 -1 2.5 NA NA NA NA NA NA NA NA NA 3.2

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2006-07-21  49.2 SPY    124. -0.007    0.0035  -0.0085  -0.0549   0.01      0.250   0.0268 GLD    61.7 -0.0133 -0.0629 
2 2006-07-24  49.7 SPY    126.  0.0182   0.0233   0.0141  -0.0359   0.0216    0.272   0.0359 GLD    61.1 -0.0092 -0.0439 
3 2006-07-25  49.2 SPY    127.  0.0036   0.0217   0.0178  -0.0285   0.0282    0.286   0.0467 GLD    61.6  0.0067 -0.0215 
4 2006-07-26  49.6 SPY    127.  0.0013   0.0091   0.0147  -0.0274   0.0283    0.265   0.039  GLD    62    0.0073 -0.0317 
5 2006-07-27  50.2 SPY    127. -0.0009   0.0151   0.0226  -0.033    0.0236    0.269   0.0443 GLD    62.9  0.0145  0.00580
6 2006-07-28  49.6 SPY    128.  0.01     0.0325   0.0259  -0.0265   0.0274    0.288   0.0759 GLD    63.1  0.0033  0.0227 
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart